DERIVATIVES AND HEDGING (Tables)

9 Months Ended

Sep. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Derivative Financial Instruments

The following table presents the fair value of the Company's derivative financial instruments as well as their classification on the consolidated statements of condition as of the dates indicated:


	Derivative Assets					Derivative Liabilities
(In thousands)	Notional Amount		Location	Fair Value		Notional Amount		Location	Fair Value
September 30, 2021
Derivatives designated as hedging instruments:
Interest rate contracts(1)	$	160,000	Other assets	$	6,849	$	83,000	Accrued interest and other liabilities	$	8,597
Total derivatives designated as hedging instruments				$	6,849				$	8,597
Derivatives not designated as hedging instruments:
Customer loan swaps(1)	$	347,921	Other assets	$	24,045	$	347,921	Accrued interest and other liabilities	$	24,045
Fixed Rate mortgage interest rate lock commitments	35,720		Other assets	498		15,302		Accrued interest and other liabilities	116
Forward delivery commitments	8,492		Other assets	215		2,297		Accrued interest and other liabilities	22
Total derivatives not designated as hedging instruments				$	24,758				$	24,183
December 31, 2020
Derivatives designated as hedging instruments:
Interest rate contracts	$	110,000	Other assets	$	5,731	$	143,000	Accrued interest and other liabilities	$	11,625
Total derivatives designated as hedging instruments				$	5,731				$	11,625
Derivatives not designated as hedging instruments:
Customer loan swaps	$	376,290	Other assets	$	39,627	$	376,290	Accrued interest and other liabilities	$	39,627
Fixed rate mortgage interest rate lock commitments	58,574		Other assets	608		28,346		Accrued interest and other liabilities	248
Forward delivery commitments	24,951		Other assets	311		15,548		Accrued interest and other liabilities	196
Total derivatives not designated as hedging instruments				$	40,546				$	40,071

(1) Reported fair values include accrued interest receivable and payable.

Schedule of Cash Flow Hedging Instruments, Location

The table below presents the effect of cash flow hedge accounting, before tax, on AOCI for the periods indicated:


(Dollars in thousands)	Amount of Gain (Loss) Recognized in OCI on Derivative		Amount of Gain (Loss) Recognized in OCI Included Component		Amount of Gain (Loss) Recognized in OCI Excluded Component		Location of Gain (Loss) Recognized from AOCI into Income	Amount of Gain (Loss) Reclassified from AOCI into Income		Amount of Gain (Loss) Reclassified from AOCI into Income Included Component		Amount of Gain (Loss) Reclassified from AOCI into Income Excluded Component
Derivatives in Cash Flow Hedge Relationships:
For the Three Months Ended September 30, 2021
Interest rate contracts	$	48	$	48	$	—	Interest and fees on loans	$	410	$	410	$	—
Interest rate contracts	190		190		—		Interest on deposits	(170)		(170)		—

Interest rate contracts	228		228		—		Interest on subordinated debentures	(369)		(369)		—
Total	$	466	$	466	$	—		$	(129)	$	(129)	$	—

For the Nine Months Ended September 30, 2021
Interest rate contracts	$	(688)	$	(688)	$	—	Interest and fees on loans	$	1,205	$	1,205	$	—
Interest rate contracts	2,142		2,142		—		Interest on deposits	(490)		(490)		—

Interest rate contracts	2,201		2,201		—		Interest on subordinated debentures	(1,222)		(1,222)		—
Total	$	3,655	$	3,655	$	—		$	(507)	$	(507)	$	—

For the Three Months Ended September 30, 2020
Interest rate contracts	$	(81)	$	(81)	$	—	Interest and fees on loans	$	311	$	311	$	—
Interest rate contracts	140		140		—		Interest on deposits	—		—		—
Interest rate contracts	197		197		—		Interest on borrowings	(74)		(74)		—
Interest rate contracts	432		432		—		Interest on subordinated debentures	(405)		(405)		—
Total	$	688	$	688	$	—		$	(168)	$	(168)	$	—

For the Nine Months Ended September 30, 2020
Interest rate contracts	$	5,844	$	5,844	$	—	Interest and fees on loans	$	610	$	610	$	—
Interest rate contracts	(838)		(838)		—		Interest on deposits	(26)		(26)		—
Interest rate contracts	(922)		(922)		—		Interest on borrowings	(22)		(22)		—
Interest rate contracts	(4,502)		(4,502)		—		Interest on subordinated debentures	(942)		(942)		—
Total	$	(418)	$	(418)	$	—		$	(380)	$	(380)	$	—

The table below presents the effect of cash flow hedge accounting on the consolidated statements of income for the periods indicated:


	Location and Amount of Gain (Loss) Recognized in Income
	Three Months Ended September 30,
	2021								2020
(Dollars in thousands)	Interest and fees on loans		Interest on deposits		Interest on borrowings		Interest on subordinated debentures		Interest and fees on loans		Interest on deposits		Interest on borrowings		Interest on subordinated debentures
Total presented on the consolidated statements of income in which the effects of cash flow hedges are recorded	$	31,185	$	1,973	$	122	$	538	$	33,025	$	2,899	$	394	$	893
Gain (loss) on cash flow hedging relationships
Interest rate contracts:
Amount of gain (loss) reclassified from AOCI into income	$	410	$	(170)	$	—	$	(369)	$	311	$	—	$	(74)	$	(405)
Amount of gain (loss) reclassified from AOCI into income - included component	$	410	$	(170)	$	—	$	(369)	$	311	$	—	$	(74)	$	(405)
Amount of gain (loss) reclassified from AOCI into income - excluded component	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—


	Location and Amount of Gain (Loss) Recognized in Income
	Nine Months Ended September 30,
	2021								2020
(Dollars in thousands)	Interest and fees on loans		Interest on deposits		Interest on borrowings		Interest on subordinated debentures		Interest and fees on loans		Interest on deposits		Interest on borrowings		Interest on subordinated debentures
Total presented on the consolidated statements of income in which the effects of cash flow hedges are recorded	$	92,610	$	5,957	$	454	$	1,983	$	100,190	$	12,953	$	1,591	$	2,668
Gain (loss) on cash flow hedging relationships
Interest rate contracts:
Amount of gain (loss) reclassified from AOCI into income	$	1,205	$	(490)	$	—	$	(1,222)	$	610	$	(26)	$	(22)	$	(942)
Amount of gain (loss) reclassified from AOCI into income - included component	$	1,205	$	(490)	$	—	$	(1,222)	$	610	$	(26)	$	(22)	$	(942)
Amount of gain (loss) reclassified from AOCI into income - excluded component	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—

Schedule of Derivatives Not Designated as Hedging Instruments

The table below presents the effect of the Company's derivative financial instruments that are not designated as hedging instruments on the consolidated statements of income for the periods indicated:


	Location of Gain Recognized in Income	Amount of Gain (Loss) Recognized in Income
		Three Months Ended September 30,				Nine Months Ended September 30,
(Dollars in thousands)		2021		2020		2021		2020
Fixed rate mortgage interest rate lock commitments	Mortgage banking income, net	$	(434)	$	(386)	$	22	$	110
Forward delivery commitments	Mortgage banking income, net	65		123		78		(33)
Total		$	(369)	$	(263)	$	100	$	77

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

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